Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading (Q4922846): Difference between revisions
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| Property / cites work: State-space recursive least-squares with adaptive memory / rank | |||
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| Property / cites work: Dynamic modeling of mean-reverting spreads for statistical arbitrage / rank | |||
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| Property / cites work: Trading a mean-reverting asset: buy low and sell high / rank | |||
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Latest revision as of 12:25, 6 July 2024
scientific article; zbMATH DE number 6170284
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading |
scientific article; zbMATH DE number 6170284 |
Statements
Detecting Mean-Reverted Patterns in Algorithmic Pairs Trading (English)
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4 June 2013
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statistical arbitrage
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mean-reversion
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market-neutral
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trading
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recursive least squares
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variable forgetting factor
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adaptive filtering
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